Funny this should come up again..... back in May or June, I posted the same question because we were getting an Australian Shepherd and my husband wanted a Western name. At the time, we thought we were going to get the red merle puppy but when we saw them, we fell in love with the blue merle puppy. I thought I would throw in this link to my post about "western" names to give you a few more ideas....
http://www.yorkietalk.com/forums/showthread.php?t=6264
Oh, and we ended up going with something not even western-themed. Her coloring was so neat and I thought it looked like stormy skies so we named her Stormie. But Blaze was one of my favorites out of the western sounding ones and would have gone great if she were the red merle colored one.